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A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series

Marcellino, Massimiliano; Stock, James H.; Watson, Mark W. - In: Journal of econometrics 135 (2006) 1/2, pp. 499-526

Persistent link: https://www.econbiz.de/10003376109

A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series

Marcellino, Massimiliano (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003213738

Understanding exchanges in international business cycle dynamics

Stock, James H.; Watson, Mark W. - In: Journal of the European Economic Association 3 (2005) 5, pp. 968-1006

Persistent link: https://www.econbiz.de/10003101473

Implications of dynamic factor models for VAR analysis

Stock, James H.; Watson, Mark W. - 2005

Persistent link: https://www.econbiz.de/10003029669

Vector autoregressions

Stock, James H.; Watson, Mark W. - In: The journal of economic perspectives : EP ; a journal … 15 (2001) 4, pp. 101-115

Persistent link: https://www.econbiz.de/10001639340

Understanding changes in international business cycle dynamics

Stock, James H.; Watson, Mark W. - 2003

Persistent link: https://www.econbiz.de/10001775741

Inference in structural Vector Autoregressions identified with an external instrument

Olea, José Luis Montiel; Stock, James H.; Watson, Mark W. - In: Journal of econometrics 225 (2021) 1, pp. 74-87

Persistent link: https://www.econbiz.de/10013279009

Implications of Dynamic Factor Models for VAR Analysis

Stock, James H.; Watson, Mark W. - 2022

This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...

Persistent link: https://www.econbiz.de/10013322868

Implications of Dynamic Factor Models for VAR Analysis

Stock, James H. - 2005

Persistent link: https://www.econbiz.de/10012467213

A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series

Marcellino, Massimiliano - 2005

Persistent link: https://www.econbiz.de/10013424599